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Sequential Analysis
Design Methods and Applications
Volume 12, 1993 - Issue 1
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Original Articles

ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order

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Pages 25-78 | Published online: 29 Mar 2007

References

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  • Borisov , V.Z. and Konev , V.V. 1977 . On sequential parameters estimation in discrete time processes . Automat. and Remote Control , 10 : 58 – 64 . (in Russian)
  • Konev , V.V. and Pergamenshchikov , S.M. 1977 . The sequential plans of parameters identification in dynamic systems . Automat. and Remote Control , 7 : 84 – 92 . (in Russian)
  • Melnikov , A.V. and Novikov , A.A. 1988 . Sequential inferences with guaranteed accuracy for semimartingales . Teor. Verojanost. i. Primenen , 23 : 480 – 494 . (in Russian)
  • Borisov , V.Z. and Konev , V.V. 1990 . On optimality of sequential plans for estimation of para meters in recurrent processes . Problems of Inform. transmis , 26 : 108 – 111 . (in Russian)
  • Greenwood P. Shiryaev A.N. Sequential estimation for first order autoregressive models Stochastics 1992 (to appear)
  • Konev , V.V. and Pergamenshchikov , S.M. 1986 . On the duration of sequential estimation of parameters of stochastic processes indiscrete time . Stochastics , 18 ( 2 ) : 138 – 154 .
  • Pergamenshchikov , S.M. 1991 . Asymptotic properties of sequential plans for estimation of parameter in autoregression of the first order . Teor. Verojanoat. i. Primenen , 36 ( 2 ) : 42 – 53 . (in Russian)
  • Ibragimov , I.A. and Khasminskii , R.Z. 1979 . “ Asymptotic estimation theory ” . Nauka Publishing House .
  • Ibragimov , I.A. , Liptser , R.Sh. and Shiryaev , A.N. 1977 and 1978 . “ Statistics of Random Processes ” . Springer-Velar .

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